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Financial market contagion and fine wines: the evidence of the ADCC GARCH model

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  • Eric Le Fur
  • Hachmi Ben Ameur
  • Eric Braune
  • Benoit Faye

Abstract

Using an asymmetric dynamic conditional correlations (ADCC) generalised auto-regressive conditional heteroskedacity (GARCH) framework, the present study explores the possible contagion effects between financial and the fine wines markets during the period of 2003 to 2014. Our results are manifold. Firstly, we demonstrate that the different wine indices are not affected in the same way by financial market volatility. Secondly, it seems that the choice of the financial index selected strongly influences the identification of the contagion effects. Thirdly, we emphasise a proximity or regional effect mediating the contagion transmission of financial market volatility to fine wines indices. Finally, our study reinforces the possible alternative asset nature of fine wines.

Suggested Citation

  • Eric Le Fur & Hachmi Ben Ameur & Eric Braune & Benoit Faye, 2016. "Financial market contagion and fine wines: the evidence of the ADCC GARCH model," International Journal of Entrepreneurship and Small Business, Inderscience Enterprises Ltd, vol. 29(4), pages 583-601.
    • Handle: RePEc:ids:ijesbu:v:29:y:2016:i:4:p:583-601
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    Citations

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    Cited by:

    1. Eric Fur, 2023. "Risk and return of classic car market prices: passion or financial investment?," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 59-68, February.
    2. Eric Le Fur & Jean-François Outreville, 2019. "Fine wine returns: a review of the literature," Journal of Asset Management, Palgrave Macmillan, vol. 20(3), pages 196-214, May.
    3. Masset, Philippe & Weisskopf, Jean-Philippe & Cardebat, Jean-Marie & Faye, Benoît & Le Fur, Eric, 2021. "Analyzing the risks of an illiquid and global asset: The case of fine wine," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 1-25.
    4. Ben Ameur, Hachmi & Le Fur, Eric, 2020. "Volatility transmission to the fine wine market," Economic Modelling, Elsevier, vol. 85(C), pages 307-316.
    5. Hachmi Ben Ameur & Zied Ftiti & Eric Le Fur, 2024. "What can we learn from the analysis of the fine wines market efficiency?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 703-718, January.
    6. Zhang, Yi & Zhou, Long & Chen, Yajiao & Liu, Fang, 2022. "The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    7. Fur, Eric Le, 2021. "Fine Wines in a Diversified Portfolio of Collectibles," 2021 Conference, August 17-31, 2021, Virtual 315852, International Association of Agricultural Economists.
    8. Samitas, Aristeidis & Papathanasiou, Spyros & Koutsokostas, Drosos & Kampouris, Elias, 2022. "Volatility spillovers between fine wine and major global markets during COVID-19: A portfolio hedging strategy for investors," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 629-642.

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